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ftdt-quant-lab/backtests/results/obi_BTC_4h_168_20260810-082944.json
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ramseshk ad4036713e feat: recent-window backtests (week/month/year) — 207 clean results 
Archived 639 old full-history results. Re-ran sweep on time-windowed
bar limits matching practical trading horizons:

  Last week bars:  1h=168, 4h=42,  1d=7
  Last month bars: 1h=720, 4h=180, 1d=30
  Last year bars:  1h=5000, 4h=2190, 1d=365

270/270 sweep succeeded, 63 zero-trade files archived.
207 results with real trades remain.

Key findings on RECENT (year) data only:

  grid_mm:    S=13.8 (1h), S=9.3 (4h), S=8.1 (1d)
  as_mm:      S=14.8 (1h), S=8.0 (4h), S=3.3 (1d)
  composite:  S=3.2 (1h), S=2.3 (4h), S=0.7 (1d)
  mean_rev:   1d only viable (S=3.5)

  Directional strategies (momentum, obi, iceberg, hurst_vpin)
  all show near-zero or negative Sharpe on recent data.

  Market-making dominates in sideways crypto markets.

Added --window flag to sweep_runner for week/month/year presets
2026-08-10 16:35:25 +08:00

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{"strategy": "obi", "interval": "4h", "n_bars": 169, "start_equity": 10000.0, "end_equity": 9886.9, "total_return_pct": -1.13, "pnl": -113.1, "sharpe": -0.673, "sortino": -0.942, "max_drawdown_pct": 6.02, "win_rate": 0.333, "profit_factor": 0.468, "expectancy": -37.701, "trades": [{"time": "2026-07-23 16:00:00", "side": "BUY", "asset": "BTC", "size": 0.153649, "entry_px": 65053.99, "exit_px": 64769.17, "pnl_gross": -52.7391, "pnl_net": -61.7154, "fee": 8.976239, "fee_rate_pct": 0.045, "return_pct": -0.528, "duration": ""}, {"time": "2026-08-03 12:00:00", "side": "BUY", "asset": "BTC", "size": 0.153964, "entry_px": 64578.51, "exit_px": 63597.34, "pnl_gross": -159.9465, "pnl_net": -168.827, "fee": 8.88051, "fee_rate_pct": 0.045, "return_pct": -1.609, "duration": ""}, {"time": "2026-08-08 00:00:00", "side": "BUY", "asset": "BTC", "size": 0.152332, "entry_px": 64221.16, "exit_px": 64933.0, "pnl_gross": 99.5831, "pnl_net": 90.7296, "fee": 8.85344, "fee_rate_pct": 0.045, "return_pct": 1.018, "duration": ""}], "params": {"obi_lookback": 20, "obi_entry": 0.35, "obi_exit": 0.1, "type": "Reversal"}, "fee_info": {"entry_fee": 0.045, "exit_fee": 0.045, "total_fee": 0.09, "taker_rate_pct": 0.045, "maker_rate_pct": 0.015, "effective_rate_pct": 0.045, "vip_tier": 0, "staking_tier": "none", "fee_model": "taker", "tier_name": "Tier 0 (<$5M)", "staking_name": "No Stake"}, "equity_curve": [{"t": "2026-07-13T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-13T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T04:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T08:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T12:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T16:00:00+00:00", "v": 10000.0}, {"t": "2026-07-14T20:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T00:00:00+00:00", "v": 10000.0}, {"t": "2026-07-15T04:00:00+00:00", "v": 10000.0}, {"t": 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